Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
From MaRDI portal
Cited in
(64)- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
- Portfolio selection in stochastic markets with exponential utility functions
- Portfolio selection in stochastic markets with HARA utility functions
- Nonzero-sum stochastic differential portfolio games under a Markovian regime switching model
- Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
- Stochastic impulse control with regime-switching dynamics
- HARA frontiers of optimal portfolios in stochastic markets
- On optimal proportional reinsurance and investment in a Markovian regime-switching economy
- Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions
- Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance
- Predictive control of investment portfolio on the financial market with hidden regime switching and MS VAR model of returns
- Insider information and its relation with the arbitrage condition and the utility maximization problem
- Signal-to-noise matrix and model reduction in continuous-time hidden Markov models
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization
- Optimal convergence trading with unobservable pricing errors
- Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax
- A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control
- Optimal consumption and investment strategies with partial and private information in a multi-asset setting
- Portfolio optimization in stochastic markets
- Value functions in a regime switching jump diffusion with delay market model
- Optimal consumption and investment for a large investor: an intensity-based control framework
- An HMM approach for optimal investment of an insurer
- A finite-horizon optimal investment and consumption problem using regime-switching models
- Exact and approximate hidden Markov chain filters based on discrete observations
- PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING
- PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS
- An optimal investment and consumption model with stochastic returns
- Overtaking optimality for controlled Markov-modulated diffusions
- Portfolio optimization and a factor model in a stochastic volatility market
- Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems
- HARA utility maximization in a Markov-switching bond-stock market
- Pairs trading under drift uncertainty and risk penalization
- OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS
- An optimal consumption problem for general factor models
- Investment-consumption with regime-switching discount rates
- A class of non-zero-sum stochastic differential investment and reinsurance games
- A BSDE approach to optimal investment of an insurer with hidden regime switching
- Portfolio optimization for a large investor controlling market sentiment under partial information
- Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance
- Extremal behavior of long-term investors with power utility
- A mathematical analysis of technical analysis
- NEWS‐GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR n STOCKS IN A MARKET OF BARNDORFF‐NIELSEN AND SHEPHARD TYPE
- Portfolio optimization with unobservable Markov-modulated drift process
- Optimal active lifetime investment
- Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time
- Duality in optimal consumption-investment problems with alternative data
- Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations
- Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
- Optimal consumption-investment with constraints in a regime switching market with random coefficients
- Penalized schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities arising in regime switching utility maximization with optimal stopping
- Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions
- Portfolio optimization for a large investor under partial information and price impact
- The asymptotic behavior of optimal portfolio strategies based on general utility with drift rate and volatility following distribution uncertainty
- Multi-period mean-variance portfolio optimization in Markovian regime-switching markets with market path-dependent uncertain exit time
- Portfolio optimization under regime-switching with market path-dependent returns
- Optimal portfolios with anticipating information on the stochastic interest rate
- Optimal loss reporting in continuous time with full insurance
- Portfolio optimization in a semi-Markov modulated market
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
- Multi-period optimization portfolio with bankruptcy control in stochastic market
- Utility indifference valuation of corporate bond with rating migration risk
- Optimal investment in multidimensional Markov-modulated affine models
- MDP algorithms for portfolio optimization problems in pure jump markets
- Optimal investment under partial information
This page was built for publication: Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5273715)
